M Options History — January 2021

In January 2021, M traded between $11.27 and $17.36. ATM implied volatility averaged 83.7%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 22.8%. IV traded above realized volatility by 4.7% (HV 20d: 79.0%). Max pain ranged from $9.00 to $11.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.43.

Notable Days

  • 2021-01-25: Highest Volume — 253,102 contracts
  • 2021-01-25: Largest IV spike — 39.7% change
  • 2021-01-28: Highest IV Rank — 60.4%
  • 2021-01-27: Largest Expected Move — 41.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.37$11.27$17.36$11.27$15.11
Max Pain$9.74$9.00$11.00$9.00$11.00
ATM IV83.7%65.2%154.0%74.6%110.7%
Expected Move22.8%18.7%41.2%20.9%33.1%
HV 20d79.0%72.5%91.2%74.0%91.2%
HV 60d82.1%79.3%87.9%79.5%87.9%
IV Rank21.5%9.6%60.4%17.4%35.6%
IV Percentile35.9%11.1%98.4%32.5%76.2%
Term Structure-3.6%-45.9%19.9%-0.9%-45.9%
VWIV82.6%66.2%150.9%73.6%132.3%
Skew 25d-3.2%-24.5%24.7%1.4%24.7%
Skew 10d-3.0%-33.7%16.3%3.4%-10.7%
Call IV 25d89.0%65.9%167.3%75.0%167.3%
Put IV 25d85.8%65.8%192.1%76.3%192.1%
Bid-Ask Spread %6.742.7030.393.468.34
Gamma HHI0.140.090.320.150.23
Net GEX2.4M-996.4K3.6M1.9M3.5M
Net DEX-165.2M-357.0M-74.7M-74.7M-208.5M
Net VEX-963.6K-1.2M-877.4K-910.7K-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.240.660.280.53
Total Volume94,530.78928,485253,10258,25189,551
Total OI690,564.684470,722843,959793,296672,766

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$11.27$9.0074.6%20.9%74.0%17.4%73.6%1.4%-0.9%1.9M-74.7M-910.7K0.283.46N/AN/A45,63312,618423,845369,451
2021-01-05$11.45$9.0073.0%20.6%72.5%16.5%72.6%3.1%1.2%2.0M-83.4M-908.0K0.414.07N/AN/A24,86210,183419,303373,548
2021-01-06$12.53$9.0079.1%20.8%79.4%19.9%74.7%-3.5%-12.5%3.2M-169.4M-929.7K0.303.81N/AN/A116,81635,034421,736373,097
2021-01-07$12.26$9.0067.6%19.2%79.8%13.6%68.3%0.4%-1.3%3.6M-139.8M-910.3K0.573.92N/AN/A71,35441,031433,065387,777
2021-01-08$12.35$9.0068.0%19.1%79.7%13.7%67.4%0.3%0.1%2.1M-140.3M-916.0K0.283.59N/AN/A74,82620,827448,924395,035
2021-01-11$12.51$9.0070.7%20.1%79.8%15.3%70.8%-2.3%-1.7%2.6M-135.3M-904.3K0.393.83N/AN/A29,21511,486414,337376,636
2021-01-12$13.02$9.0071.5%19.9%77.5%15.7%72.7%-1.7%-1.9%3.1M-174.5M-933.9K0.613.39N/AN/A36,37122,074420,486380,693
2021-01-13$13.24$10.0069.8%19.4%72.7%14.3%68.8%-0.7%-5.7%3.2M-190.3M-924.0K0.516.90N/AN/A32,12016,222422,687389,890
2021-01-14$13.88$10.0070.4%19.5%73.5%14.4%69.8%-2.1%-3.4%3.5M-235.5M-934.2K0.473.86N/AN/A57,37726,755422,779395,421
2021-01-15$12.95$10.0067.4%19.2%77.0%12.7%67.5%-1.9%-1.3%-996.4K-140.4M-911.5K0.664.75N/AN/A45,05429,799420,322405,341
2021-01-19$12.68$10.0066.0%18.9%77.9%11.6%67.5%-1.2%5.3%1.7M-104.0M-877.4K0.5112.06N/AN/A40,15620,558248,422222,300
2021-01-20$12.34$10.0065.2%18.7%78.8%9.6%66.2%-0.1%5.5%1.3M-84.6M-877.9K0.372.79N/AN/A20,7317,754265,948235,634
2021-01-21$12.39$10.0068.1%19.2%78.8%11.2%68.8%-4.0%5.4%1.4M-87.7M-877.8K0.462.70N/AN/A35,58616,320268,419237,785
2021-01-22$12.86$10.0068.8%19.3%78.0%11.6%68.3%-1.8%4.2%1.7M-115.4M-909.6K0.558.67N/AN/A38,76321,228280,810246,899
2021-01-25$14.30$10.0096.0%23.6%79.0%27.2%85.7%-1.1%19.9%2.7M-186.8M-985.8K0.253.72N/AN/A201,98851,114269,391244,911
2021-01-26$15.64$10.00111.8%24.0%80.4%36.2%87.9%-22.2%3.2%3.5M-255.8M-1.1M0.3110.38N/AN/A89,88428,195302,518273,366
2021-01-27$17.36$10.00137.7%41.2%81.4%51.0%150.9%-23.4%7.0%2.8M-357.0M-1.2M0.247.52N/AN/A186,94044,605324,116283,303
2021-01-28$15.82$11.00154.0%35.5%89.4%60.4%134.9%-24.5%-45.4%2.9M-254.8M-1.2M0.4130.39N/AN/A101,58841,467350,455299,313
2021-01-29$15.11$11.00110.7%33.1%91.2%35.6%132.3%24.7%-45.9%3.5M-208.5M-1.2M0.538.34N/AN/A58,70330,848362,679310,087